CAJ | 학술논문

本文对1995—2011年全球33个主要股票市场收益率的联动性以及影响因素进行了分析。在控制了贸易联系以及金融一体化程度的影响基础上，我们重点考察了双边汇率波动性对双边股票市场收益率联动性的影响。分析结果表明，贸易联系、金融一体化程度与股市收益率联动性之间呈现出正向相关关系，而汇率波动性的提高将降低股票市场收益率之间的联动性。汇率制度弹性的增强有助于减弱一国股票市场与其它国家股票市场的联动性。本文研究对我国金融市场抵御外部冲击、降低市场传染具有重要的政策参考价值。
본문대1995—2011년전구33개주요고표시장수익솔적련동성이급영향인소진행료분석。재공제료무역련계이급금융일체화정도적영향기출상，아문중점고찰료쌍변회솔파동성대쌍변고표시장수익솔련동성적영향。분석결과표명，무역련계、금융일체화정도여고시수익솔련동성지간정현출정향상관관계，이회솔파동성적제고장강저고표시장수익솔지간적련동성。회솔제도탄성적증강유조우감약일국고표시장여기타국가고표시장적련동성。본문연구대아국금융시장저어외부충격、강저시장전염구유중요적정책삼고개치。
This paper examines the dynamic and determinants of the bilateral stock market return correlationsbetween the 33 largest stock markets over the period 1995 ~ 2011. Controlling for possible endogenous biaswhen using the bilateral trade linkages and international financial integration as the explanatory variables, thispaper focuses on the impact of exchange rate volatility on the stock market synchronization. We find that tradelinkages and monetary integration contribute to higher stock market co - movement. The exchange rate volatilityhas a negative impact on the bilateral stock market return correlations. This finding is robust when we add theexchange rate regime as additional explanatory variable. A more flexible exchange rate regime can reduce thestock market synchronization. This paper provides the policy guidance for the stock market stability and prosperity at the present stage.